WHAT Madonna wants, Madonna gets. The pop queen paid a visit to the Reebok Sports Club on Columbus Avenue Saturday morning for a yoga class. According to a member of the class, when Madonna started talking to the instructor and he told her talking wasn’t allowed, she replied, “I need to speak to you,” and then said to the class, “I want you all to leave.” The teacher left with all 25 students. Madonna remained in the room practicing and wouldn’t leave when a 10:30 a.m. dance class was to start. Madonna’s rep said, “That sounds unlikely.” The club declined to comment.